Operational asset replacement strategy : a real options approach

This article analyses the problem of replacement by investigating the optimal moment of investment replacement in a given tax environment with a given depreciation policy. An operation and maintenance cost minimization model, based on the definition of equivalent annual cost, is applied to a real options paradigm. The developed methodology allows for an innovative evaluation of the flexibility of replacement process analysis. A new two- factor evaluation function is introduced to quantify decisions of asset replacement under a unique cycle environment. This study improves upon previous findings in the literature as it accounts for autonomous salvage value processes. Based on partial differential equations, this model achieves a general analytical solution and particular numerical solution. The results differ significantly from those observed in one-factor models by showing evidence of over-evaluation in optimal levels of replacement, and by confirming suspicions that different types of uncertainties produce non-monotonous effects on the optimal replacement level. The scientific contribution of this study lies in new and stronger approaches to equivalent annual cost literature, supplying an algorithm for operation and maintenance cost minimization that is conditioned by autonomous salvage value. This study also contributes to the real options literature by developing of a two-factor model with Brownian processes applied to asset replacement.info:eu-repo/semantics/publishedVersio

Analysis of the asset replacement level with an uncertain salvage value : a two-factor model

The aim of this article is to analyse the asset replacement problem from the perspective of optimal replacement level, given a specific tax environment and depreciation policy. Using a real options approach, our model minimizes current operation and maintenance costs and allows the definition of a new value of the replacement flexibility within a multi-cycle environment. The innovation on the valuation process comes from adding an autonomous salvage value’s factor. The results from partial differential equations reveal relevant differences from those observed in one-factor models, especially with regard to optimal replacement levels and in the non-monotonous effects of salvage value variation. The numerical case study also confirms that the salvage value is indeed a worthwhile element in the replacement process. It was possible to determine that, in terms of the magnitude of the cost replacement level, the key roles are played by changes in the speed of mean reversion, as well in the salvage factor volatility. This paper provides some improvements to the existing literature in equivalent annual cost by drawing up a cost minimization problem conditioned by a different salvage value dynamics, and contributes to real options literature by introducing a salvage value factor in the pricing model.info:eu-repo/semantics/publishedVersio

Ownership structure and initial public offerings in Portugal

This study aims to answer three different questions. First, whether we could observe short-term abnormal return anomaly or long-term underperformance in IPOs of a small economy. Second, if these anomalies do appear to exist, whether they are distinct when ownership categories (private versus state owned) are compared. Third, if these categories show different patterns, whether private placements show significantly different under/overpricing phenomena compared with placements made by state owned companies. In order to do this, we selected the Portuguese market to test whether cumulative abnormal returns (CARs) or the wealth relative (WR) of a set of portfolios were statistically and significantly different from zero. We found significant short-term abnormal returns both for IPOs placed by private firms and for IPOs placed by state owned firms. In addition, state owned IPOs have been more profitable for short-term investments than private IPOs. Secondly we observed weak signs for one-year time period underperformance, but we found new evidence, as reported in the literature, for significant differences for one-year performance according to the ownership structure. Contrary to what the literature on economic and financial performance of privatized firms would lead us to expect, we found that IPOs placed by private companies tend to perform better in a one-year term than IPOs placed by state owned firms. However our results are quite sensitive to the methodology being used.info:eu-repo/semantics/publishedVersio

Biopolitics, immunity, and religion: a brief critical reading of Roberto Esposito

In Western culture, it is possible to trace an archeology of the political as an effect of theological-political devices (essentially Christian-inspired). If we add to this the evolution of politics, in modern times, towards biopolitics, then this relationship focuses on very concrete topics. This is the case of the immunological process—from a personal, social, and philosophical perspective—thoroughly analyzed by the Italian philosopher Roberto Esposito. In the context of his philosophical immunology, the place of religion is mainly archaeological and is interpreted critically: either as an immunization mechanism that results in self-immunization, destroying what it intends to defend; or in another way, from a perspective closer to the Christian tradition, as a “theological–political machine”, based on the “person” device, which ends up giving rise to binarisms that dissolve themselves into the One, by the domain of one of the poles. This article aims to critically analyze his position on both aspects, proposing a reading close to his thought but which is, at the same time, somewhat different. This proposal is directly inspired by neither a binarian nor immunological, but rather a “ternary” trinitarian theology. The originality of the article lies in evaluating the place of religion within Esposito’s philosophical immunology—which has not been worked on—as well as in a critical discussion on his interpretation either of religion or of some theological–political devices; this critical approach is based on an alternative reading of the same topics.info:eu-repo/semantics/publishedVersio

Zwięzła antropologia rodziny

This article intends to think the concrete reality of the family from the perspective of a philosophical anthropology, based on the biblical-Christian hermeneutic model. At the same time, starting from this particular anthropology, it suggests a general anthropology according to a family matrix. This anthropology is understood as relation of different persons, based on the model of donation. The concrete mode of its accomplishment occurs in family relations, like filiation, fraternity, conjugality and parenthood.Artykuł stawia sobie za zadanie przemyślenie konkretnej rzeczywistości rodziny z perspektywy antropologii filozoficznej, opartej na biblijno-chrześcijańskim modelu hermeneutyki. Jednocześnie, rozpoczynając od tej szczególnej antropologii, proponuje się antropologię ogólną, zgodną z modelem rodziny. Antropologia ta jest rozumiana jako relacja różnych osób, oparta na modelu darowania. Konkretny sposób jej realizacji pojawia się w relacjach rodzinnych jak synostwo, braterstwo, partnerstwo i rodzicielstwo

Inflation announcements, federal reserve bias and stock returns

In this article, we found that the US stock prices react only to the unexpected component of US inflation announcements, with such impact statistically significant only in a situation of economic recession. We also show that the impact of the unexpected component of inflation announcements is also dependent upon the "signals" that the Federal Reserve sends to the market (the known Federal Reserve Bias). In fact, we found a negative correlation between the unexpected component of macroeconomic announcements and stock price returns, this correlation being statistically significant when the Federal Reserve discloses a Neutral Bias

Effects associated with index composition changes: evidence from the Euronext Lisbon stock exchange

According to previous studies in many other markets, changes in a stock market index composition have shown abnormal returns are available at the date when index changes become effective. Stocks (added or deleted) tend to generate abnormal returns. But as market microstructure and stock index governing rules differ from country to country and from index to index, studies on previously unstudied markets are relevant. This study examines the stock reaction that occurs when shares are added to or deleted from the Euronext Lisbon stock index PSI-20, studied in terms of abnormal returns. And although the vast majority of papers in the literature are concerned with price effect and volume effect, this study also focuses on the trading volume and on the volatility effect. Although the rules governing the PSI-20 index are publicly available, the market seems to be surprised when announcements of composition change are released. stock price returns react positively for additions to and negatively for deletions from the index. All these observed effects are evident for the time period between the announcement day and the effective day of the change. when the effective day of the change arrives, the market still reacts to stock additions to the index, decreasing significantly the price that was being raised until then, in what may be a sign of a previous overreaction when the announcements were made. It also reacts in terms of trading volume. A positive abnormal trading volume is observed after additions to and deletions from the index, with some persistency after the event. The volatility effects do not seem to be statistically significant. All statistically significant findings on price returns seem to be temporary which lends itself to the empirical support for the price pressure hypothesis. However, the empirical evidence of a persistent increase in trading volume either for additions to or for deletions from the index becomes a puzzling and contradictory support for the liquidity hypothesis

Regulatory disclosure via the internet : does it make financial markets more efficient?

In line with the regulatory framework of the majority of the European capital markets, the Portuguese Securities Market Commission imposes to security issuers the disclosure of any event that could influence share prices in a material way. These events are classified as “Price Sensitive Events”. Through the analysis of market reaction to this kind of event, this study attempts to assess the appropriateness of this disclosure rule. Additionally, since the regulator defines its website as the appropriate manner to disseminate this publishable information through the market, we will also be providing evidence about the efficiency of this system.info:eu-repo/semantics/publishedVersio

How sensitive are price sensitive events?

According to the Portuguese law and in line with the regulatory framework of the majority of the European capital markets (namely the UK market), security issuers have the obligation to reveal, in an appropriate way, publishable information, in order to avoid information asymmetry. This information is classified into two categories: the first called "Price Sensitive Events" and the second under the designation "Other Events/Communications" and, as it is expected, it does not necessarily influence share prices in a material way. The Portuguese regulator (CMVM - Comissão do Mercado de Valores Mobiliários) defines its website as the appropriate manner to disseminate this publishable information through the market. This study aims to find out how price sensitive these revealed price sensitive events are, and how timely the market reaction to their disclosure is. We applied the traditional event studies methodology, not only concerning stock prices, but also the trading volume (number of traded shares). Thus, we tested the hypothesis of the existence of an abnormal stock price returns and abnormal trading volume around or about the day, on which the price sensitive event was disclosed. Using a database of 1828 events that were considered significant for this purpose by issuers and collected from the regulators' website from 01/1/2000 to 31/12/2002, we found an average abnormal return of 0.23% on the announcement day with a subsequent price stabilization. However, when the sample was split up into good and bad news, we found an average abnormal return of +1.92% and -0.93% respectively. Although the return to equilibrium proved to be slower with regard to the trading volume, we found that, on average, there was an excess of activity around the announcement day. We can therefore conclude that the disclosure of price sensitive events classified as such contain useful market information, and that this information is incorporated in an efficient way in the share price formation process. However, the release of information seems to be done in a delayed way in comparison to what we would expect

Electricity market interconnections and electricity price volatility

In this paper, we present a model of changes in electricity price returns in the context of interconnected electricity markets. This model predicts an inverse relationship between the increase in interconnection capacity and the volatility of price returns in the corresponding electricity markets. This means that an increase of interconnection between two markets leads to a decrease in the volatility of their prices. We support our model with empirical results from the Australian, European and USA electricity markets. The results suggest that this inverse relationship between interconnection and volatility exists, meaning that when markets tend to be physically interconnected, variance tends to be reduced.Financial support granted by the Fundação para a Ciência e a Tecnologia (FCT) and the Programa Praxis XX